Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary

Oliver Linton, Kyungchui (Kevin) Song and Yoon-Jae Whang
Additional contact information
Kyungchui (Kevin) Song: Institute for Fiscal Studies

No CWP08/08, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly over the boundary points of the null hypothesis and are therefore valid over the whole null hypothesis. We also allow the prospects to be indexed by infinite as well as finite dimensional unknown parameters, so that the variables may be residuals from nonparametric and semiparametric models. Our simulation results show that our tests are indeed more powerful than the existing subsampling and recentered bootstrap.

JEL-codes: C12 C14 C52 (search for similar items in EconPapers)
Date: 2008-03-10
New Economics Papers: this item is included in nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://cemmap.ifs.org.uk/wps/cwp0808.pdf (application/pdf)

Related works:
Working Paper: Bootstrap Tests of Stochastic Dominance with AsymptoticSimilarity on the Boundary (2008)
Working Paper: Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary (2008)
Working Paper: Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:08/08

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().